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CC&G

X-COM Collateral Management

Reports and Flows

May, 15th 2015

X-COM Collateral Management Reports and flows May, 15th 2015

2

Contents

1.0 OVERVIEW .................................................................................................................................. 3

2.0 REPORT....................................................................................................................................... 4

MX20 – POSITIONS REPOTS .................................................................................................................. 4 MX21 – FAIL POSITIONS ....................................................................................................................... 6 MX22 – EXPIRY DATE SL ADJUSTMENT .................................................................................................. 8 MX23 – COLLATERAL HELD BY THE RECEIVER ......................................................................................... 9 MX24 – FORWARD POSITION IN FAIL ................................................................................................... 11 MX51 – XCOM COLLATERAL RECEIVER IRMA MARGINS ....................................................................... 13 MX52 – XCOM INITIAL MARGINS ......................................................................................................... 15 MX53 – XCOM COLLATERAL GIVER IRMA MARGINS ............................................................................. 17

3.0 DESCRIPTION OF THE DATA FILE........................................................................................... 19

D01H – XCOM TRADE ....................................................................................................................... 20 D13B - XCOM MEMBER POSITIONS ..................................................................................................... 21 D13C – XCOM DELIVER POSITIONS .................................................................................................... 22 D13D – XCOM MEMBER FAIL POSITIONS ............................................................................................ 23 D13E – XCOM DELIVER FAIL POSITIONS ............................................................................................ 24 D03C – XCOM COLLATERAL POSITIONS C/O RECEIVER BY MEMBER ....................................................... 25 D03D – XCOM COLLATERAL POSITIONS C/O RECEIVER BY DELIVER ....................................................... 26 D03E – XCOM SPOT LEG FAIL POSITIONS BY MEMBER ......................................................................... 27 D03F – XCOM SPOT LEG FAIL POSITIONS BY DELIVER .......................................................................... 28


3

1.0 Overview

CC & G has created new reports and data files to support the new X-COM service.

Following documents are described in Report section:

MX20 – Positions repots

MX21 – Fail Positions

MX22 – Expiry Date SL Adjustment

MX23 – Collateral held by the Receiver

MX24 – Forward Position in FAIL

MX51 – XCOM Collateral Receiver IRMA Margins

MX52 – XCOM Initial Margins

MX53 – XCOM Collateral Giver IRMA Margins

Following documents are described in Data File section:

D01H – XCOM Trade

D13B - XCOM Member Positions

D13C – XCOM Deliver Positions

D13D – XCOM Member FAIL Positions

D13E – XCOM Deliver FAIL Positions

D03C – XCOM Collateral Positions c/o Receiver by Member

D03D – XCOM Collateral Positions c/o Receiver by Deliver

D03E – XCOM Spot Leg Fail Positions by Member

D03F – XCOM Spot Leg Fail Positions by Deliver

Section is in English according with document "Data Service" document on the site, which is an add-on.


4

2.0 Report

Below are described new reports provided by CC&G for counterparty services for X-COM segment.

MX20 – Positions repots

Ader: XYZ XCOM Positions repots RP-MX20 16 APR 15 11:54:05 Pag. 1

CASSA DI COMPENSAZIONE E GARANZIA Posizioni del: 16 APR 2015

Isin: XCMCCG100003 Mkt Ref. 0000001 Trade Date 10/04/15 Side Receiver SL ISD 17/04/15 FV 22/04/15 FL ISD 23/04/15 FV 30/04/15

Original Amount 40.000.000,100 Interests 188,989

SL XCOM Ref. C20150417041859 CCG Ref. 201504175002038G Amount 40.000.000,100 Interests 188,989

--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



FL XCOM Ref. C20150415041928 CCG Ref. 201504155002043G Amount 50.000.000,000 Interests 170,00

-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- Isin: XCMCCG100003 Mkt Ref. 0000003 Trade Date 15/04/15 Side Receiver SL ISD 15/04/15 FV 22/04/15 FL ISD 04/05/15 FV 11/05/15


FL XCOM Ref. C20150415042374 CCG Ref. 201504150002043G Amount 60.000.000,000 Interests 32,24

Report shows ordinary positions, for both the spot leg and the forward leg, generated at Repo negotiation. Positions will be shown until settlement date, respectively to spot leg and forward leg.

Information contained in the Report are as follows:


5

• ISIN: Basket of securities for the traded Repo

• Mkt Ref.: Repo contract reference

• Trade Date: operation trade date

• Side Giver/Receiver: Participant position in fail case

• SL/FL – ISD/FV: refer settlement date and intended settlement date for the two contract legs

• Original Amount: Repo original amount

• Spot leg brings the repo total amount from trade date to settlement date; Forward leg, instead, shows 0 amount until spot leg is setlted;

• Once settlement date, spot leg will no longer be shown in positions; forward leg amount will be updated according to the spot leg amount:

- total amount for spot leg in fail: forward leg amount will be equal to 0.

- spot Leg partially or totally settled: forward leg amount will be equal to settled amount;


6

MX21 – Fail Positions

Ader: XYZ Fail Positions RP-MX21 22 APR 15 21:54:05 Pag. 1

CASSA DI COMPENSAZIONE E GARANZIA Positions of: 22 APR 2015



SL XCOM Ref. C20150417041859 CCG Ref. 201504175002038G Amount 10.000.000,000 Interests

-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- Isin: XCMCCG100003 Mkt Ref. 0000005 Trade Date 17/04/15 Side Receiver SL ISD 17/04/15 FV 17/04/15 FL ISD 20/04/15 FV 27/04/15


FL XCOM Ref. C20150415041928 CCG Ref. 201504155002043G Amount 500.000,000 Interests 250,00 --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------


Original Amount 80.000.000,000 Interests 90,890 SL XCOM Ref. C20150415042374 CCG Ref. 201504150002043G Amount 80.000.000,000 Interests 90,890

Report shows positions in fail regarding Repo operations , for both the spot leg and the forward leg, if not settled from the evening of relative settlement date.

Information contained in the Report are as follows::

• ISIN: Basket of securities for the traded Repo

• Mkt Ref.: Repo contract reference

• Trade Date: operation trade date

• Side Giver/Receiver: Participant position in fail case


7

• SL/FL – ISD/FV: refer settlement date and intended settlement date for the two contract legs

• Original Amount: Repo original amount

• Interest: total amount of interest negotiations

• Amount: amount of the spot/forward leg in fail. Amount is updated according to the amount set by Participant in fail


8

MX22 – Expiry Date SL Adjustment

Ader: XYZ XCOM Expiry Date SL Adjustment. RP-MX22 22 APR 15 21:54:05 Pag. 1

CASSA DI COMPENSAZIONE E GARANZIA Adjustment of: 22 APR 2015

ISIN XCMCCG100004 Num Con5111300005 Dt Ese 22/04/2015 Receiver ISD SL 27/04/2015 ISD FL 28/04/2015

Original Value 55.000.000,000 Int XCOM Reference CCG Reference FV SL FV FL Ctv Spot Interest

SL C20150422042693 201504220000130R 27/04/2015 0

FL C20150422042693 201504220000130R 6/05/2015 Interest EUR Settlement Date 28/04/2015

-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- ISIN XCMCCG100005 Num Con5111300005 Dt Ese 22/04/2015 Receiver ISD SL 27/04/2015 ISD FL 28/04/2015

Original Value 55.000.000,000 Int

XCOM Reference CCG Reference FV SL FV FL Ctv Spot Interest SL C20150422042693 201504220000130R 27/04/2015 0

FL C20150422042693 201504220000130R 6/05/2015 13,890

Interest 13,890 EUR Settlement Date 28/04/2015

In case of non-settlement of the SL when it reaches the end of validity, will be distinguish between two cases:

• the settlement failure is due to lack of securities: interest amount will be equal to the total interest

• the settlement failure is due to lack cash: interest amount will be equal to a percentage of total interest.

Both in the case of total or partial non-settlement, FL cash to be settled will be equal to the interest.


9

MX23 – Collateral held by the Receiver

Member : 3030 XYZ Collateral held by the Receiver AL 22 APR 15 MX23 27/04/15 13:48:49 Page 1

GCM : 3030 MXY CASSA DI COMPENSAZIONE E GARANZIA

Basket : XCMCCG100006 Mkt Refer. XCOM Reference CCG Reference Side Tr Date ISD SL ISD FL FV SL FV FL Amount Repo Interest

0000000014 C20150421042581 201504210000010G Receiver 16/04/2015 23/04/2015 30/04/2015 30/04/2015 8/05/2015 10.000.000,00 27,22000

Isin Nominal Value Market Price Haircut Collateral Value Tp Isin Maturity

IT0004794142 10.042.000,000 ,00000000000000000 1,45 % 10.000.896,090 SB 15/01/2016 IT0004794142 218.000,000 ,00000000000000000 12,00 % 243.472,670 CB 20/02/2018

Total COLLATERAL HELD BY THE RECEIVER------> 10.244.368,760

Report shows the collateral paid by the Giver Member for the settlement of the spot leg and filed with the Receiver Member.


• Basket: ISIN for Repo negotiation

• Refer Mkt: Repo contact reference

• XCOM Reference: X-COM reference for which operation reference is

• CC&G Reference: CC&G identification of Repo operation

• Side Giver/Receiver: indicates the Participant position in the fail

• SL/FL - ISD/PV: refer settlement date and intended settlement date for the two contract legs

• ISIN: shows the list of securities deposited in the receiver account


10

• Valore Nominale: amount securities deposited

• Prezzo di mercato: Market Price

• Haircut applied by CC&G for guarantees enhancement

• Collateral Value: collateral amount including Haircut

• Tp ISIN: type of financial instrument

• Maturity: maturity date of the financial instrument

• Total COLLATERAL HELD BY THE RECEIVER: shows the total coverage of the collateral held by the receiver, then the amount of Repo adjusted.


11

MX24 – Forward Position in FAIL

Forward Position in FAIL AL 27 APR 15 MX24 2 7/04/15 14:22:47 Page 3

Member : 3030 XYZ

GCM : 3030 MXY Basket : XCMCCG100007

Mkt Refer. XCOM Reference CCG Reference Side Tr Date ISD SL ISD FL FV SL FV FL Amount Repo Interest

0000000014 C20150421042581 201504210000010G Receiver 16/04/2015 23/04/2015 30/04/2015 30/04/2015 8/05/2015 ,000000

Isin Nominal Value Market Price Haircut Collateral Value Tp Isin Maturity

IT0004828338 10.000.000,000 ,00000000000000000 70,00 % 9.997.240,000 CB 11/05/2015 IT0004864747 7.900.000,000 ,00000000000000000 62,00 % 8.796.361,650 CB 30/10/2017

Total COLLATERAL HELD BY THE RECEIVER ------> 18.793.601,650

Report shows Forward Leg positions not settled as of the evening of the forward Leg ISD. Single instructions, divided in single regulated ISIN, will be referred in the report in Fine Validity order. Report will include mark-to-market updates, in case of ISIN replacement and in the case of regulation of one or more ISIN.



• Refer Mkt: Repo contact reference

• XCOM Reference: X-COM reference for which operation reference is

• CC&G Reference: CC&G identification of Repo operation


12

• Side Giver/Receiver: indicates the Participant position in the fail

• SL/FL - ISD/PV: refer settlement date and intended settlement date for the two contract legs

• ISIN: shows the list of securities deposited in the receiver account

• Nominal Value: amount securities deposited

• Haircut applied by CC&G for guarantees enhancement

• Collateral Value: collateral amount including Haircut

• Tp ISIN: type of financial instrument

• Maturity: maturity date of the financial instrument

After reaching the end of validity, if the receiver is still in fail, positions will no longer be present in the report.


13

MX51 – XCOM Collateral Receiver IRMA Margins

Mbr: XXX XCOM-IRMA Margin Collateral Receiver MX-51

13 May 15 13:05:51 Page 1

GCM: XXX CASSA DI COMPENSAZIONE E GARANZIA

Account: P Reference Date: 13 May 2015

Contract Refer CCG Basket S Trade Date ISD SL ISD FL CTV Spot CTV Forw IRMA

123456789 123456789123R IT0005094534 R 12/05/2015 13/05/2015 14/05/2015 10.000.000,00

1.000.000,14

8,33

123456789 123456789124R IT0005094534 R 12/05/2015 13/05/2015 14/05/2015 100.000.000,00

100.000.080,00

83,30

123456790 123456789125R IT0005094535 R 12/05/2015 13/05/2015 14/05/2015 5.000.000,00

5.000.000,70

4,17

123456791 123456789126R IT0005094536 R 12/05/2015 13/05/2015 14/05/2015 7.500.000,00

7.500.002,00

3,00

123456792 123456789127R IT0005094537 R 12/05/2015 13/05/2015 14/05/2015 1.000.000,00

1.000.000,00

0,83

Total 99,63

Report shows the IRMA margins calculated for Collateral Receiver divided according to contract.


• Contract: Contract Number

• Refer CC&G: CC&G Reference for Repo operation


• S: Side (R – Receiver; G – Giver)

• ISD SL: Intended Settlement Date Sport Leg


14

• ISD FL: Intended Settlement Date Forward Leg

• CTV Spot: Spot Countervalue

• CTV Term: Forward Countervalue

• IRMA: IRMA Margins


15

MX52 – XCOM Initial Margins

Mbr: XXX SPA XCOM- Initial Margins MX52 13 May 2015 13:05:51 Page 1


Account: CLIENT Reference Date : 13 MAY 15

Contract Basket Refer X-COM Refer CC&G S Trade Date ISD FL FV FL Amount Interest

12345678 12345678 12345678945 321654987 R 12/05/2015 14/05/2015 21/05/2015 1.000.000,00

10,00

ISIN Quantity Haircut Unit Rate

CTV Collateral Coef.Val

Initial Margin MTM Margin

IT0000000001 1.000.000,00 20% 0,5

999.999,00 1

400.000,00

100.000,00

IT0000000002 2.000.000,00 30% 0,6

1.999.999,00 0,99

500.000,00

20.000,00

IT0000000003 3.000.000,00 40% 0,7

2.999.999,00 1

600.000,00

300.000,00

IT0000000004 4.000.000,00 50% 0,8

3.999.999,00 0,99

700.000,00

50.000,00

Total 2.670.000,00

Report shows the Initial margins calculated for Collateral Receiver divided according to contract.




16


• Refer CC&G: CC&G reference for Repo operation



• FV FL: End Date Forward Leg

• Interest: Interests Amount

• ISIN: List of securities deposited related to contract

• CTV Collateral: Collateral amount including Haircut

• Coef.Val: esteem Coefficient

• MTM Margin: Mark To Market Margin


17

MX53 – XCOM Collateral Giver IRMA Margins

Mbr: XXX XCOM- Collateral Giver IRMA Margins MX-51

13 May 15 13:05:51 Page 1


Account: P Reference Date: 13 May 2015

Contract Refer CCG Basket S Trade Date ISD SL ISD FL CTV Spot CTV Forw IRMA

123456789 123456789123R IT0005094534 G 12/05/2015 13/05/2015 14/05/2015 10.000.000,00

1.000.000,14

0,14

123456789 123456789124R IT0005094534 G 12/05/2015 13/05/2015 14/05/2015 100.000.000,00

100.000.080,00

80,00

123456790 123456789125R IT0005094535 G 12/05/2015 13/05/2015 14/05/2015 5.000.000,00

5.000.000,70

0,70

123456791 123456789126R IT0005094536 G 12/05/2015 13/05/2015 14/05/2015 7.500.000,00

7.500.002,00

2,00

123456792 123456789127R IT0005094537 G 12/05/2015 13/05/2015 14/05/2015 1.000.000,00

1.000.000,00

0,00

Total 82,84

Report shows the IRMA margins calculated for Collateral Giver divided according to contract.



• Refer CC&G: CC&G reference for Repo operation




18

• ISD SL: Intended Settlement Date Sport Leg


• CTV Spot: Spot Countervalue

• CTV Term: Forward Countervalue

• IRMA: IRMA Margins


19

3.0 Description of the Data File

This section describes the format of each Batch Data File. The structure is contained into “Body of Data” field.

General Information

The first 4 fields of each record have the same structure. The structure of Body of Data depends on the Data File. Each Data File has a specific fixed record length. The last record of each Data File contains check information

Record Format of the Batch Data File

Description Len Type Notes

Member's Clearing Code 4,0 N

GCM Code 4,0 N

Data File Code 4 A (‘Dnnx’)

Record number 6,0 N

Body of data 512 A

Latest Record Format for each Batch Data File ("plug")

Description Len Type Notes

Member's Clearing Code 4,0 N

GCM Code 4,0 N

Data File Code 4 A (‘Dnnx’)

Record number 6,0 N

Member's ABI code 5 N

Total No. of records per type 6 N

Filler 501 A


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D01H – XCOM Trade

Corresponding Reports: N/A Send phase: Daily - post batch Data File ID: D01H Record Length: 185 Content: Contracts Executed on X-COM Market

Description File Len Type Notes

GCM ABI XCOTRAN00F 5,0 N

MEMBER ABI XCOTRAN00F 5,0 N

ISIN XCOTRAN00F 12 A

TRADE NUMBER XCOTRAN00F 10,0 N

RIF.XCOM RECEIVER XCOTRAN00F 16 A

RIF.XCOM GIVER XCOTRAN00F 16 A

RIF.OPE.CCG RECEIVER XCOTRAN00F 16 A

RIF.OPE.CCG GIVER XCOTRAN00F 16 A

NEGOTIATION MARKET XCOTRAN00F 3 A

GIVER/RECEIVER XCOTRAN00F 1 A ‘G’=Giver; ‘R’=Receiver

CREATE DATE TR.PARM 8,0 N Format yyyymmdd

SETTLEMENT DATE XCOTRAN00F 8,0 N Format yyyymmdd

FORWARD LEG SETTLEMENT

DATE

XCOTRAN00F 8,0 N Format yyyymmdd

SPOT LEG EXPIRY DATE XCOTRAN00F 8,0 N Format yyyymmdd

FORWARD LEG EXPIRY DATE XCOTRAN00F 8,0 N Format yyyymmdd

COUNTERVALUE XCOTRAN00F 16,3 N

SETTLEMENT CURRENCY XCOTRAN00F 3 A

FORWARD ACCRUAL COUNTERVALUE

XCOTRAN00F 19,3 N

PCT RATE XCOTRAN00F 6,3 N

FLAG TRADE DELETED XCOTRAN00F 1 A ‘Y’ /Blanks


21

D13B - XCOM Member Positions

Corresponding Reports: N/A Send Phase: Daily - post batch Data File ID: D13B Record Length: 211 Content: Daily Member Positions on X-COM Market



GCM ABI XCOPOS00F 5,0 N

MEMBER ABI XCOPOS00F 5,0 N

CC&G MARKET ID XCOPOS00F 2,0 N

ISIN XCOPOS00F 12 A

TRADE DATE XCOPOS00F 8,0 N Format yyyymmdd

TRADE NUMBER XCOPOS00F 10,0 N

CCG REFERENCE XCOPOS00F 16 A

XCOM REFERENCE XCOPOS00F 16 A

GIVER/RECEIVER TYPE XCOPOS00F 1 A ‘G’=Giver; ‘R’=Receiver

COUNTERVALUE XCOPOS00F 16,3 N

ACCRUAL COUNTERVALUE XCOPOS00F 16,3 N

SPOT LEG SETTLEMENT DATE XCOPOS00F 8,0 N Format yyyymmdd

SPOT LEG EXPIRY DATE XCOPOS00F 8,0 N Format yyyymmdd

FORWARD LEG SETTLEMENT DATE

XCOPOS00F 8,0 N Format yyyymmdd

FORWARD LEG EXPIRY DATE XCOPOS00F 8,0 N Format yyyymmdd

SPOT LEG COUNTERVALUE XCOPOS00F 16,3 N

SPOT LEG ACCRUAL

COUNTER

XCOPOS00F 16,3 N

FORWARD LEG COUNTERVALUE

XCOPOS00F 16,3 N

FORWARD LEG ACCRUAL COUNTER

XCOPOS00F 16,3 N


22

D13C – XCOM Deliver Positions

Corresponding Reports: N/A Send Phase: Daily - post batch Data File ID: D13C Record Length: 211 Content: Daily Deliver Positions on X-COM Market






ISIN XCOPOS00F 12 A













SPOT LEG COUNTERVALUE XCOPOS00F 16,3 N

SPOT LEG ACCRUAL

COUNTERVALUE

XCOPOS00F 16,3 N

FORWARD LEG COUNTERVALUE

XCOPOS00F 16,3 N

FORWARD LEG ACCRUAL COUNTERVALUE

XCOPOS00F 16,3 N


23

D13D – XCOM Member FAIL Positions

Corresponding Reports: N/A Send Phase: Daily - post batch Data File ID: D13D Record Length: 211 Content: Daily Member FAIL Positions on X-COM Market






ISIN XCOPOS00F 12 A













SPOT LEG FAIL COUNTERVALUE

XCOPOS00F 16,3 N

SPOT LEG FAIL ACCRUAL COUNTERVALUE

XCOPOS00F 16,3 N

FORWARD LEG FAIL

COUNTERVALUE

XCOPOS00F 16,3 N

FORWARD LEG FAIL ACCRUAL COUNTERVALUE

XCOPOS00F 16,3 N


24

D13E – XCOM Deliver FAIL Positions

Corresponding Reports: N/A Send Phase: Daily - post batch Data File ID: D13E Record Length: 211 Content: Daily Deliver FAIL Positions on X-COM Market






ISIN XCOPOS00F 12 A













SPOT LEG FAIL COUNTERVALUE

XCOPOS00F 16,3 N

SPOT LEG FAIL ACCRUAL COUNTERVALUE

XCOPOS00F 16,3 N

FORWARD LEG FAIL

COUNTERVALUE

XCOPOS00F 16,3 N

FORWARD LEG FAIL ACCRUAL COUNTERVALUE

XCOPOS00F 16,3 N


25

D03C – XCOM Collateral Positions c/o Receiver by Member

Corresponding Reports: N/A Send Phase: Daily - post batch Data File ID: D03C Record Length: 200 Content: Daily Collateral Positions c/o Receiver by Member on X-COM Market



GCM ABI XCOPOSD00F 5,0 N

MEMBER ABI XCOPOSD00F 5,0 N

CC&G MARKET ID XCOPOSD00F 2,0 N

ISIN XCOPOS00F 12 A

CURRENCY XCOPOSD00F 3 A

POSITION DATE XCOPOSD00F 8,0 N Format yyyymmdd

TRADE NUMBER XCOPOSD00F 10,0 N

CCG REFERENCE XCOPOSD00F 16 A

XCOM REFERENCE XCOPOSD00F 16 A

GIVER/RECEIVER TYPE XCOPOSD00F 1 A ‘G’=Giver; ‘R’=Receiver

SPOT LEG SETTLEMENT DATE XCOPOSD00F 8,0 N Format yyyymmdd

SPOT LEG EXPIRY DATE XCOPOSD00F 8,0 N Format yyyymmdd


XCOPOSD00F 8,0 N Format yyyymmdd

FORWARD LEG EXPIRY DATE XCOPOSD00F 8,0 N Format yyyymmdd

ISIN XCOPOSD00F 12 A

QUANTITY XCOPOSD00F 19,3 N

PRICE XCOPOSD00F 15,3 N

COUNTERVALUE XCOPOSD00F 16,3 N

HAIRCUT XCOBSKD00F 10,0 N

MATURITY DATE XCOBSKD00F 8,0 N Format yyyymmdd

PRODUCT TYPE (SECURITY TYPE)

XCOBSKD00F 2 A


26

D03D – XCOM Collateral Positions c/o Receiver by Deliver

Corresponding Reports: N/A Send Phase: Daily - post batch Data File ID: D03C Record Length: 200 Content: Daily Collateral Positions c/o Receiver by Deliver on X-COM Market



GCM XCOPOSD00F 5,0 N

MEMBER XCOPOSD00F 5,0 N


ISIN XCOPOS00F 12 A



















XCOBSKD00F 2 A


27

D03E – XCOM Spot Leg Fail Positions by Member

Corresponding Reports: N/A Send Phase: Daily - post batch Data File ID: D03E Record Length: 200 Content: Daily Spot Leg Fail Positions by Member on X-COM Market






ISIN XCOPOS00F 12 A



















XCOBSKD00F 2 A


28

D03F – XCOM Spot Leg Fail Positions by Deliver

Corresponding Reports: N/A Send Phase: Daily - post batch Data File ID: D03F Record Length: 200 Content: Daily Spot Leg Fail Positions by Deliver on X-COM Market






ISIN XCOPOS00F 12 A



















XCOBSKD00F 2 A


29

Annex

Attribute Values

Description Values

NEGOTIATION MARKET See table below

GIVER/RECEIVER ‘G’=Giver; ‘R’=Receiver

CURRENCY ‘EUR’=Euro, ‘USD’=US Dollar…


‘CB’=Corporate Bonds, ‘ST’=Structured Bonds, ‘GS’=Government Bonds, ‘LB’=Local Authorities Bonds, ‘SB’=Supranational Bonds

NEGOTIATION MARKET Values

Code Description

EMX EMID Market

MTX MTS Market

XCO XCOM Market

© May 2014 - This document is adopted pursuant to relevant laws. Cassa di Compensazione e Garanzia S.p.A. accepts no liability, arising, without limitation to the generality of the foregoing, from inaccuracies and/or mistakes, for decisions and/or actions taken by any party based on this document. AGREX, BEST VENUE INDICATOR, BORSA ITALIANA and BORSA ITALIANA’s logo, BORSA ITALIANA ITALIAN STOCK EXCHANGE, BORSA VIRTUALE, BORSAM@T, CITY FOR GOOD, DDM, ELITE, ETFplus, EUROMOT, EXPANDI, EXTRAMOT, IDEM-THE ITALIAN DERIVATIVES MARKET, IDEX, MARKET CONNECT, MIB, MIB 30, MIBTEL, MIDEX, MINIFIB, MIV, MOT, MTA, MTF, NIS, SEDEX, STAR, STAR SEGMENTO TITOLI CON ALTI REQUISITI, TECHSTAR are registered trademarks owned by Borsa Italiana S.p.A.

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FTSE is a trademark of the London Stock Exchange Group companies and is used by FTSE International Limited under licence.

GATElab, Traderpath, Algorithmicpath, Exchangepath are registered trademarks owned by Gatelab S.r.l.

The above trademarks and any other trademark owned by London Stock Exchange Group cannot be used without express written consent by the Company having the ownership on the same.

The Group promotes and offers the post-trading services of Cassa di Compensazione e Garanzia S.p.A. and Monte Titoli S.p.A. in an equitable, transparent and non-discriminatory manner and on the basis of criteria and procedures aimed at assuring interoperability, security and equal treatment among market infrastructures, to all subjects who so request and are qualified in accordance with national and community legislation, applicable rules and decisions of the competent Authorities.

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